On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: a Monte Carlo study and empirical example-Reference-Cited by-同舟云学术

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On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: a Monte Carlo study and empirical example

Published:2005-02-20 Issue:3 Volume:12 Page:133-139
ISSN:1350-4851
Container-title:Applied Economics Letters
language:en
Short-container-title:Applied Economics Letters

Author:

Kwan * Andy C. C.¹,Wu Yangru²

Affiliation:

1. a Department of Economics , The Chinese University of Hong Kong , Hong Kong

2. b Department of Finance and Economics , Rutgers University , USA

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/1350485042000319195

Reference6 articles.

1. EXACT GENERAL-LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW-LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE

2. Approximate moments to O(n−2 for the sampled partial autocorrelations from a white noise process

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1. IMPLICATIONS OF MARKET FRICTIONS: SERIAL CORRELATIONS IN INDEXES ON THE EMERGING STOCK MARKETS IN CENTRAL AND EASTERN EUROPE;OPER RES DECIS;2014

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